A Newton-based method for the calculation of the distance to instability (Q716432)
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scientific article; zbMATH DE number 5949271
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| English | A Newton-based method for the calculation of the distance to instability |
scientific article; zbMATH DE number 5949271 |
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A Newton-based method for the calculation of the distance to instability (English)
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22 September 2011
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The authors introduce a new fast algorithm for computing the distance of a stable matrix, with all its eigenvalues in the left half-plane, to the set of unstable matrices. The first component of the algorithm is a local method based on Newtons's method, and though very quick, is not guaranteed to find a globally optimal solution. For that reason, a checking step is added to provide a global method. Numerical results show that this algorithm is competitive with and, in almost all cases, outperforms earlier algorithms. Five numerical examples are considered.
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stable matrices
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distance to instability
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fast algorithm
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Newtons's method
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numerical results
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0.8782404661178589
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0.8424912691116333
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0.8230181336402893
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0.8130006790161133
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0.8075512051582336
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